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Monetary Policy under Model and Data-Parameter Uncertainty

Cateau, Gino - Bank of Canada - 2005

Policy-makers in the United States over the past 15 to 20 years seem to have been cautious in setting policy: empirical estimates of monetary policy rules such as Taylor's (1993) rule are much less aggressive than those derived from optimizing models. The author analyzes the effect of an...

Persistent link: https://www.econbiz.de/10005536861

Information, Risk Sharing and Incentives in Agency Problems

xie, Jia - Bank of Canada - 2015

This paper studies the use of information for incentives and risk sharing in agency problems. When the principal is risk neutral or the outcome is contractible, risk sharing is unnecessary or completely taken care of by a contract on the outcome. In this case, information systems are ranked...

Persistent link: https://www.econbiz.de/10011166910

Price Level versus Inflation Targeting under Model Uncertainty

Cateau, Gino - Bank of Canada - 2008

The purpose of this paper is to make a quantitative contribution to the inflation versus price level targeting debate. It considers a policy-maker that can set policy either through an inflation targeting rule or a price level targeting rule to minimize a quadratic loss function using the actual...

Persistent link: https://www.econbiz.de/10005226954

Risk, Entropy, and the Transformation of Distributions

Reesor, R. Mark; McLeish, Don L. - Bank of Canada - 2002

Persistent link: https://www.econbiz.de/10005162442

A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market

Lo, Ingrid; Sapp, Stephen G. - Bank of Canada - 2006

Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day. The authors use a structural errorcorrection model to examine the dynamics of the relationship between the best bid price, the best ask price,...

Persistent link: https://www.econbiz.de/10005162500

Guarding Against Large Policy Errors under Model Uncertainty

Cateau, Gino - Bank of Canada - 2006

How can policy-makers avoid large policy errors when they are uncertain about the true model of the economy? The author discusses some recent approaches that can be used for that purpose under two alternative scenarios: (i) the policy-maker has one reference model for choosing policy but cannot...

Persistent link: https://www.econbiz.de/10005673312

What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?

Alquist, Ron; Bauer, Gregory; Rios, Antonio Diez de los - Bank of Canada - 2014

Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures...

Persistent link: https://www.econbiz.de/10010960394

Order Submission: The Choice between Limit and Market Orders

Lo, Ingrid; Sapp, Stephen G. - Bank of Canada - 2005

Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type. The authors empirically investigate how the time between order submissions, changes in the state of the order book, and price uncertainty influence the...

Persistent link: https://www.econbiz.de/10005808285

Buying Back Government Bonds: Mechanics and Other Considerations

Gravelle, Toni - Bank of Canada - 1998

bonds before they mature. The relation between the size of bond benchmark issues and the liquidity of the government …, tends to enhance market liquidity. Thus, in an environment where the government's marketable debt is shrinking, purchasing …, the liquidity of a government securities market. In discussing the buy-back mechanics, reverse auctions are shown to be …

Persistent link: https://www.econbiz.de/10005808359

Asset Allocation Using Extreme Value Theory

Bensalah, Younes - Bank of Canada - 2002

Persistent link: https://www.econbiz.de/10005226958